I faced the same issue but solved the problem. Here the work around,
1. Choose Custom Install
2. Uncheck the site advisory
3. Proceed with the installation
4 After successful installation you will be able to install site advisory via the main menu, Web and E-mail Protection.
I have had the same problem, I was able to download the file DMSetup.exe but once I run it I get the same message: "problem with your internet connection or the McAfee download server is unavailable". I don't have the option of a custom install because the program hasn't been downloaded.
Could you please confirm if the issue is resolved, if not please provide me with the following information;
What is the operating system of the computer?
How is the computer connected to internet ? (dsl/wireless)
Did we have any other security software in the computer ?
Kindly get back with the following details so that we could get this installed for you.
McAfee Online Community Moderator